Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0157
Annualized Std Dev 0.2370
Annualized Sharpe (Rf=0%) 0.0662

Row

Daily Return Statistics

Close
Observations 4399.0000
NAs 1.0000
Minimum -0.2006
Quartile 1 -0.0048
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0063
Maximum 0.1740
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0149
Skewness -1.2586
Kurtosis 28.7009

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0104
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7786
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0206
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7786 3474 444 NA
2004-03-08 2004-05-10 2004-12-27 -0.2078 204 45 159
2005-03-07 2005-03-23 2005-07-28 -0.1033 101 13 88
2006-12-20 2007-03-05 2007-04-09 -0.0940 73 49 24
2005-08-02 2005-10-13 2005-12-02 -0.0826 87 52 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA 0 0.5 -0.2 0.2 0.5
2004 0.8 0.8 0.9 -1.4 1.8 0.1 0.7 1.6 0.6 1.4 1.4 0.6 9.5
2005 0.9 0.7 1 0.6 0.1 0.5 0.5 1 0.5 1.1 2.3 -1.3 8.3
2006 0.1 0.7 1.1 -0.3 1.3 -0.4 0 0.6 -1.7 -0.6 0.5 -1 0.3
2007 0.1 -1.1 0.7 -0.6 0.5 0 0.3 0.6 -0.1 -1.9 0.9 1.3 0.6
2008 0.8 -2.1 3.1 0.8 0.2 1.1 -0.2 -0.7 2 3.2 -7.9 7.1 6.9
2009 -2.1 -2.9 1.4 1.8 2.9 1.5 1.4 -3.1 -2.2 -5.5 0.9 -1.4 -7.5
2010 1.2 1.6 0.4 -1.2 -1.1 -1.2 -0.3 2.4 1.2 0.2 0.7 0.4 4.5
2011 1.1 -1.1 0.5 0.2 -1.8 1.1 -0.1 -0.3 -2.7 -2.5 1.2 0.1 -4.4
2012 1.4 0.7 -0.2 0.2 -2.4 1.1 -0.2 -0.5 0.9 1.3 0.8 0.7 3.9
2013 -0.3 0.6 -0.2 -0.3 -3.1 0.1 1.7 0.3 0.6 -0.2 0.2 0.5 -0.3
2014 -0.2 0.3 0.6 0.2 0.1 0.4 -0.8 0 -0.9 0.7 -1.4 0.5 -0.3
2015 -1.4 0.2 -0.3 0.6 0 1 0.1 -2.4 0.4 0.8 0.5 -0.9 -1.5
2016 -0.5 2.6 1.1 0.1 0 1 -1.4 -1 0.4 -0.3 0.4 0.4 3
2017 0.1 1.2 -0.3 0.8 1.3 0.6 -0.1 0.4 0.3 -0.3 -0.1 0.5 4.4
2018 -0.1 -0.9 1.1 0 0.4 0 0.6 -0.1 0.6 1.7 0.9 0.5 4.9
2019 0.4 0.2 1 0.6 -1.6 0.7 -0.6 0 -0.3 -0.3 0.5 0.6 1.1
2020 -0.3 -3.8 -7.7 -1.9 1.4 0.6 -0.8 0.3 0.3 -0.2 1.7 0.8 -9.7
2021 0.5 1.7 0 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-09-26  20   SPY    100. -0.0033 -0.0359   -0.0019   0.0234    0.166   -0.310       NA <NA>     NA    NA       NA
2 2003-09-29  20.0 SPY    101.  0.0098 -0.0158    0.0017   0.0338    0.220   -0.305       NA <NA>     NA    NA       NA
3 2003-09-30  20.0 SPY    100. -0.0097 -0.029    -0.0147   0.0144    0.222   -0.312       NA <NA>     NA    NA       NA
4 2003-10-01  20.0 SPY    102.  0.0213  0.00960  -0.007    0.0232    0.191   -0.292       NA <NA>     NA    NA       NA
5 2003-10-02  20.0 SPY    102.  0.0036  0.0216   -0.0088   0.0376    0.232   -0.281       NA <NA>     NA    NA       NA
6 2003-10-03  20.1 SPY    103.  0.0092  0.0344   -0.0002   0.0267    0.256   -0.278       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart